A portfolio invests in a risk-free asset, and the market portfolio has an expected return of 5.4% and a standard deviation of 10%. Suppose the risk-free rate is 3%, and the standard deviation on the market portfolio is 25%. Consider the following information about Stocks A, B, and C: State of Economy Recession Normal Booming Probability of State of Economy 0.20 0.60 0.20 Rate of Return If State Occurs Stock A Stock B Stock C -0.03 0.01 -0.21 0.12 0.21 0.12 0.27 0.05 0.39 a) b) Which stock has the most systematic risk? Which one has the most unsystematic risk? Which stock is riskier? A portfolio invests in a risk-free asset, and the market portfolio has an expected return of 5.4% and a standard deviation of 10%. Suppose the risk-free rate is 3%, and the standard deviation on the market portfolio is 25%. Consider the following information about Stocks A, B, and C: State of Economy Recession Normal Booming Probability of State of Economy 0.20 0.60 0.20 Rate of Return If State Occurs Stock A Stock B Stock C -0.03 0.01 -0.21 0.12 0.21 0.12 0.27 0.05 0.39 a) b) Which stock has the most systematic risk? Which one has the most unsystematic risk? Which stock is riskier